Hi @Jadarius Anderson ,
The new Navigation feature is not supported in the sites which have SharePoint Server Publishing Infrastructure feature enabled under Site Collection Features in Site Settings.
The sites which do not have SharePoint Server Publishing Infrastructure feature enabled, show three options i.e., Theme, Header and Navigation and site which has this feature enabled shows only Theme and Header.
Once you deactivate the said feature, the Navigation button will appear in Change the look under Settings menu, you can then change the Orientation to Horizontal>Mega menu or Cascading.
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